arXiv subjects

Adam Fleischhacker

Publications and source records attributed to Adam Fleischhacker.

2 recordsLinked to original sources

arXiv2022

A Closed-Form EVSI Expression for a Multinomial Data-Generating Process

This paper derives analytic expressions for the expected value of sample information (EVSI), the expected value of distribution information (EVDI), and the optimal sample size when data consists of independent draws from a bounded sequence of integers. Due to challenges of creating tractable EVSI expressions, most existing work valuing data does so in one of three ways: 1) analytically through closed-form expressions on the upper bound of the value of data, 2) calculating the expected value of data using numerical comparisons of decisions made using simulated data to optimal decisions where the underlying data distribution is known, or 3) using variance reduction as proxy for the uncertainty reduction that accompanies more data. For the very flexible case of modelling integer-valued observations using a multinomial data-generating process with Dirichlet prior, this paper develops expressions that 1) generalize existing beta-Binomial computations, 2) do not require prior knowledge of some underlying "true" distribution, and 3) can be computed prior to the collection of any sample data.

stat.ME↗

arXiv2015

Dynamic Pricing in a Dual Market Environment

This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an on-site market. The key difference between the two markets is that the long-distance market provides for a one period delay in demand fulfillment. In contrast, on-site orders must be filled immediately as the customer is at the physical on-site location. We model the demands in consecutive periods as independent random variables and their distributions depend on the item's price in accordance with two general stochastic demand functions: additive or multiplicative. The firm uses a single pool of inventory to fulfill demands from both markets. We investigate properties of the structure of the dynamic pricing strategy that maximizes the total expected discounted profit over the finite time horizon, under fixed or controlled replenishment conditions. Further, we provide conditions under which one market may be the preferred outlet to sale over the other.

math.OC↗